# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
today = datetime.today()
print("Requesting contract details...")
# Perform the request
tws.reqContractDetails(
42, # reqId,
contract, # contract,
)
print("\n=====================================================================")
print(" Contract details requested, waiting for TWS responses")
print("=====================================================================\n")
print("******************* Press ENTER to quit when done *******************\n")
input()
print("\nDisconnecting...")
tws.eDisconnect()
class IBBroker(Broker):
cid = 0 # connection id
oid = 0 # order id
tid = 0 # tick id (for fetching quotes)
tws = None # Trader WorkStation
wrapper = None # instance of EWrapper
sid_to_tid = {} # map of security id to tick id
def __init__(self, wrapper=None):
Broker.__init__(self)
# initialize a default wrapper
if wrapper:
self.wrapper = wrapper
else:
self.wrapper = WrapperDefault()
# initialize the wrapper's portfolio object
self.wrapper.portfolio = IBPortfolio()
# get next order id
def get_next_oid(self):
IBBroker.oid += 1
return IBBroker.oid
# get next connection id
def get_next_cid(self):
IBBroker.cid += 1
return IBBroker.cid
# get next tick request id (for getting quotes)
def get_next_tid(self):
self.tid += 1
return self.tid
# connect to TWS
def connect(self, port=7496):
if self.is_connected():
self.disconnect()
cid = self.get_next_cid()
self.tws = EPosixClientSocket(self.wrapper)
self.tws.eConnect('', port, cid)
# disconnect from TWS
def disconnect(self):
self.tws.eDisconnect()
# check if TWS is connected
def is_connected(self):
if self.tws is None:
return False
return self.tws.isConnected()
# Convert Zipline order signs into IB action strings
def order_action(self, iSign):
if iSign > 0:
return 'BUY'
elif iSign < 0:
return 'SELL'
raise Exception('Order of zero shares has no IB side: %i' % iSign)
# get an IB contract by ticker
def get_contract_by_sid(self, sid):
contract = Contract()
contract.symbol = sid
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
return contract
# get a default IB market order
def get_market_order(self, sid, amt):
order = Order();
order.action = self.order_action(amt)
order.totalQuantity = abs(amt)
order.orderType = 'MKT'
order.tif = 'DAY'
order.outsideRth = False
return order
# get a default IB limit order
def get_limit_order(self, sid, amt, lmtPrice):
order = Order();
order.action = self.order_action(amt)
order.totalQuantity = abs(amt)
order.orderType = 'LMT'
order.tif = 'DAY'
order.outsideRth = False
order.lmtPrice = lmtPrice
return order
# send the IB (contract, order) order to TWS
def place_order(self, contract, order):
oid = self.get_next_oid()
self.tws.placeOrder(oid, contract, order)
return oid
# send order with Zipline style order arguments
# <TODO> stop_price is not implemented
def order(self, sid, amt, limit_price=None, stop_price=None):
contract = self.get_contract_by_sid(sid)
amt = int(amt)
if limit_price is None:
order = self.get_market_order(sid, amt)
else:
order = self.get_limit_order(sid, amt, limit_price)
return self.place_order(contract, order)
# subscribe to market data ticks
def subscribe(self, sid):
tid = self.get_next_tid()
self.sid_to_tid[sid] = tid
contract = self.get_contract_by_sid(sid)
self.tws.reqMktData(tid, contract, '', False)
return tid
# subscribe to market data ticks for a list of tickers
def subscribe_list(self, tickers):
for tkr in tickers:
self.subscribe(tkr)
# cancel a market data subscription
def unsubscribe(self, sid):
if sid not in self.sid_to_tid.keys():
return
tid = self.sid_to_tid[sid]
self.tws.cancelMktData(tid)
# cancel all market data subscriptions
def unsubscribe_all(self):
sids = self.sid_to_tid.keys()
for sid in sids:
self.unsubscribe(sid)
# fetch a quote by ticker id tid
def get_quote_by_tid(self, tid):
return self.wrapper.tid_to_price[tid]
# fetch a quote by ticker sid
def get_quote(self, sid):
if sid not in self.sid_to_tid:
self.subscribe(sid)
return (None, None)
tid = self.sid_to_tid[sid]
if tid not in self.wrapper.tid_to_price:
price = None
else:
price = self.wrapper.tid_to_price[tid]
if tid not in self.wrapper.tid_to_size:
size = None
else:
size = self.wrapper.tid_to_size[tid]
return (price, size)
# fetch a price by ticker sid
def get_price(self, sid):
if sid not in self.sid_to_tid:
self.subscribe(sid)
return None
tid = self.sid_to_tid[sid]
if tid not in self.wrapper.tid_to_price:
return None
else:
price_dict = self.wrapper.tid_to_price[tid]
if 'price' in price_dict:
return price_dict['price']
return None
# get a Pandas DataFrame of current positions
def get_positions_frame(self):
ib_dict = {}
for sid, position in self.wrapper.portfolio.sid_to_position.iteritems():
# <TODO> don't use vars here
#ib_dict[sid] = vars(position)
ib_dict[sid] = {'marketValue': position.marketValue,
'realizedPNL': position.realizedPNL,
'marketPrice': position.marketPrice,
'unrealizedPNL': position.unrealizedPNL,
'accountName': position.accountName,
'averageCost': position.averageCost,
'sid': position.sid,
'position': position.position}
return pd.DataFrame.from_dict(ib_dict, orient='index')
print 'Still waiting for valid order id...'
sleep(1)
# Order details
order = Order()
order.action = 'BUY'
order.lmtPrice = 0
order.auxPrice = 0
order.orderType = 'MTL'
order.totalQuantity = 1
print "Placing order for %d %s's (id: %d)" % (order.totalQuantity,
contract.symbol, orderId)
# Place the order
tws.placeOrder(
orderId, # orderId,
contract, # contract,
order # order
)
print "\n====================================================================="
print " Order placed, waiting for TWS responses"
print "=====================================================================\n"
print "******************* Press ENTER to quit when done *******************\n"
raw_input()
print "\nDisconnecting..."
tws.eDisconnect()
def enterPositions(self, weights, execution_sleep=True):
print "----------------------MAKING TRADES ON IB---------------------------"
# Instantiate our callback object
callback = self.PlaceOrderExample()
# Instantiate a socket object, allowing us to call TWS directly. Pass our
# callback object so TWS can respond.
tws = EPosixClientSocket(callback)
# Connect to tws running on localhost
tws.eConnect("", 7496, 42)
# account updates
tws.reqAccountUpdates(True, self.accountNumber)
sleep(1)
print "available funds: %s" % (self.availableFunds)
print "net liquidation value: %s" % (self.netLiquidationValue)
###DELAY UNTIL MARKET HOURS
if execution_sleep:
day_of_week = datetime.now().isoweekday()
# if weekday, and we scanned after midnight, set execution time to this morning at 10:30 am
time_now = datetime.now()
if (
day_of_week in range(1, 6)
and (time_now.hour >= 0 and time_now.hour < 10)
and (time_now.minute >= 0 and time_now.minute < 30)
):
execution_time = datetime(
year=time_now.year, month=time_now.month, day=time_now.day, hour=10, minute=30
)
# otherwise, set to next trading day, morning at 10:30am
else:
execution_time = datetime.now()
execution_time = execution_time + dt.timedelta(days=1)
while execution_time.isoweekday() > 5:
execution_time = execution_time + dt.timedelta(days=1)
execution_time = datetime(
year=execution_time.year, month=execution_time.month, day=execution_time.day, hour=10, minute=30
)
to_sleep = (execution_time - datetime.now()).total_seconds()
print "----------sleeping until execution time of %s---------------" % (execution_time)
# sleep until that time
sleep(to_sleep)
for stock in weights:
print ("\n=====================================================================")
print (" Trading " + stock)
print ("=====================================================================\n")
stock_price = Trader.get_quote([stock])[0][self.QUOTE_LAST]
print "%s last stock price: %s" % (stock, stock_price)
contract = Contract()
contract.symbol = stock
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
if self.orderId is None:
print ("Waiting for valid order id")
sleep(1)
while self.orderId is None:
print ("Still waiting for valid order id...")
sleep(1)
# Order details
order = Order()
order.action = "BUY"
# order.lmtPrice = 140
order.orderType = "MKT"
dollar_value = self.availableFunds * weights[stock]
order.totalQuantity = int(round(dollar_value / stock_price, 0))
# order.algoStrategy = "AD"
order.tif = "DAY"
# order.algoParams = algoParams
order.transmit = True
print (
"Placing order for %d %s's, dollar value $%s (id: %d)"
% (order.totalQuantity, contract.symbol, dollar_value, self.orderId)
)
# Place the order
tws.placeOrder(self.orderId, contract, order) # orderId, # contract, # order
print ("\n=====================================================================")
print (" Order placed, waiting for TWS responses")
print ("=====================================================================\n")
sleep(3)
# reset orderid for next
self.orderId = self.orderId + 1
print ("\n=====================================================================")
print (" Trade done.")
print ("=====================================================================\n")
print ("******************* Press ENTER to quit when done *******************\n")
input()
print ("\nDisconnecting...")
tws.eDisconnect()
class TradeManager(object):
def __init__(self):
self.accountNumber = ''
self.optionExpiry = '20121221' # This needs manual updating!
self.maxAskBidRatio = 1.25
self.maxAskLastPriceRatio = 1.02
self.maxOrderQueueLength = 3
# Create a file for TWS logging
self.twslog_fh = open('/home/mchan/git/Artemis/twslog.txt', 'a', 0)
self.twslog_fh.write("Session Started " + str(datetime.datetime.now()) + "\n")
self.callback = ArtemisIBWrapperSilent.ArtemisIBWrapper()
self.tws = EPosixClientSocket(self.callback)
self.orderIdCount = 1 # This will be updated automatically
self.requestIdCount = 1
self.invested = False
self.maxLimitPriceFactor = 1.02 # No limit orders above 2% of current ask price
# Connect the socket
self.socketnum = 30
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
# Strategy Generic object, has methods for interpreting consensus out/under performance
self.Strat = strategy.Strategy()
# Queue for orders
self.orderQueue = []
# Setup DB connector
self.db = dbutil.db(h='127.0.0.1', schema='mchan')
# Query Cash Account Balance
self.updateBuyingPowerNextId()
def updateBuyingPowerNextId(self):
self.callback.myNextValidId = None
self.callback.buyingPower = None
self.tws.reqAccountUpdates(1, self.accountNumber)
while (self.callback.buyingPower is None or self.callback.myNextValidId is None):
pass
self.buyingPower = float(self.callback.buyingPower)
self.orderIdCount = int(self.callback.myNextValidId)
print "Buying Power recognized: ", self.buyingPower, " Next valid id recognized: ", self.orderIdCount
self.tws.reqAccountUpdates(0, self.accountNumber)
def calcInvSize(self):
'''
Calculates proper investment size
'''
# We take the total size of the portfolio, cash plus stock, and we divide by four
# The reasoning is that we want to avoid the day pattern trader restriction
# Dividing our portfolio size by four ensures that we have enough capital
# to trade for the four trading opportunities that will happen until we can
# finally sell our positions
# This also allows for diversification
self.updateBuyingPowerNextId()
portfolioList = self.getPortfolio()
secMarketPositions = 0
for myContract, myPosition, myMarketValue in portfolioList:
secMarketPositions += myMarketValue
totalPortfolioSize = secMarketPositions + self.buyingPower
investmentSize = min(self.buyingPower, (totalPortfolioSize/4.0))
print "CALCULATE INVESTMENT SIZE: ", str(investmentSize)
return investmentSize
def twsReconnect(self):
print "Reconnecting TWS"
self.twslog_fh.write("Reconnecting TWS" + str(datetime.datetime.now()) + '\n')
self.tws.eDisconnect()
try:
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
except TWSError, e:
print e
print "Attempting to reconnect:"
for i in range(0,5):
time.sleep(5)
print "Try ", i
try:
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
break
except TWSError, e:
print e
class SwigIBClient(EWrapper):
'''Callback object passed to TWS, these functions will be called directly
by TWS.
'''
def __init__(self, port=4001, client_id=12):
super(SwigIBClient, self).__init__()
self.tws = EPosixClientSocket(self)
self.port = port
self.client_id = client_id
self.got_history = Event()
self.got_contract = Event()
self.got_err = Event()
self.order_filled = Event()
self.order_ids = Queue()
def execDetails(self, id, contract, execution):
pass
def managedAccounts(self, openOrderEnd):
pass
### Order
def nextValidId(self, validOrderId):
'''Capture the next order id'''
self.order_ids.put(validOrderId)
def orderStatus(self, id, status, filled, remaining, avgFillPrice, permId,
parentId, lastFilledPrice, clientId, whyHeld):
print(("Order #%s - %s (filled %d, remaining %d, avgFillPrice %f,"
"last fill price %f)") %
(id, status, filled, remaining, avgFillPrice, lastFilledPrice))
if remaining <= 0:
self.order_filled.set()
def openOrder(self, orderID, contract, order, orderState):
print("Order opened for %s" % contract.symbol)
def openOrderEnd(self):
pass
def commissionReport(self, commissionReport):
print 'Commission %s %s P&L: %s' % (commissionReport.currency,
commissionReport.commission,
commissionReport.realizedPNL)
### Historical data
def historicalData(self, reqId, date, open, high,
low, close, volume,
barCount, WAP, hasGaps):
if date[:8] == 'finished':
print("History request complete")
self.got_history.set()
else:
date = datetime.strptime(date, "%Y%m%d").strftime("%d %b %Y")
print(("History %s - Open: %s, High: %s, Low: %s, Close: "
"%s, Volume: %d") % (date, open, high, low, close, volume))
### Contract details
def contractDetailsEnd(self, reqId):
print("Contract details request complete, (request id %i)" % reqId)
def contractDetails(self, reqId, contractDetails):
print("Contract details received (request id %i):" % reqId)
print("callable: %s" % contractDetails.callable)
print("category: %s" % contractDetails.category)
print("contractMonth: %s" % contractDetails.contractMonth)
print("convertible: %s" % contractDetails.convertible)
print("coupon: %s" % contractDetails.coupon)
print("industry: %s" % contractDetails.industry)
print("liquidHours: %s" % contractDetails.liquidHours)
print("longName: %s" % contractDetails.longName)
print("marketName: %s" % contractDetails.marketName)
print("minTick: %s" % contractDetails.minTick)
print("nextOptionPartial: %s" % contractDetails.nextOptionPartial)
print("orderTypes: %s" % contractDetails.orderTypes)
print("priceMagnifier: %s" % contractDetails.priceMagnifier)
print("putable: %s" % contractDetails.putable)
if contractDetails.secIdList is not None:
for secId in contractDetails.secIdList:
print("secIdList: %s" % secId)
else:
print("secIdList: None")
print("subcategory: %s" % contractDetails.subcategory)
print("tradingHours: %s" % contractDetails.tradingHours)
print("timeZoneId: %s" % contractDetails.timeZoneId)
print("underConId: %s" % contractDetails.underConId)
print("evRule: %s" % contractDetails.evRule)
print("evMultiplier: %s" % contractDetails.evMultiplier)
contract = contractDetails.summary
print("\nContract Summary:")
print("exchange: %s" % contract.exchange)
print("symbol: %s" % contract.symbol)
print("secType: %s" % contract.secType)
print("currency: %s" % contract.currency)
print("tradingClass: %s" % contract.tradingClass)
if contract.comboLegs is not None:
for comboLeg in contract.comboLegs:
print("comboLegs: %s - %s" %
(comboLeg.action, comboLeg.exchange))
else:
print("comboLegs: None")
print("\nBond Values:")
print("bondType: %s" % contractDetails.bondType)
print("couponType: %s" % contractDetails.couponType)
print("cusip: %s" % contractDetails.cusip)
print("descAppend: %s" % contractDetails.descAppend)
print("issueDate: %s" % contractDetails.issueDate)
print("maturity: %s" % contractDetails.maturity)
print("nextOptionDate: %s" % contractDetails.nextOptionDate)
print("nextOptionType: %s" % contractDetails.nextOptionType)
print("notes: %s" % contractDetails.notes)
print("ratings: %s" % contractDetails.ratings)
print("validExchanges: %s" % contractDetails.validExchanges)
self.got_contract.set()
### Error
def error(self, id, errCode, errString):
if errCode == 165 or (errCode >= 2100 and errCode <= 2110):
print("TWS warns %s" % errString)
elif errCode == 502:
print('Looks like TWS is not running, '
'start it up and try again')
sys.exit()
elif errCode == 501:
print("TWS reports error in client: %s" % errString)
elif errCode >= 1100 and errCode < 2100:
print("TWS reports system error: %s" % errString)
elif errCode == 321:
print("TWS complaining about bad request: %s" % errString)
else:
super(SwigIBClient, self).error(id, errCode, errString)
self.got_err.set()
def winError(self, msg, lastError):
print("TWS reports API error: %s" % msg)
self.got_err.set()
def pyError(self, type, val, tb):
sys.print_exception(type, val, tb)
###
def connect(self):
if not self.tws.eConnect("", self.port, self.client_id):
raise RuntimeError('Failed to connect to TWS')
def disconnect(self):
print("\nDisconnecting...")
self.tws.eDisconnect()
def create_contract(self):
# Simple contract for GOOG
contract = Contract()
contract.exchange = "SMART"
contract.symbol = "GOOG"
contract.secType = "STK"
contract.currency = "USD"
return contract
def request_contract_details(self, contract):
today = datetime.today()
print("Requesting contract details...")
# Perform the request
self.tws.reqContractDetails(
42, # reqId,
contract, # contract,
)
print("\n====================================================================")
print(" Contract details requested, waiting %ds for TWS responses" % WAIT_TIME)
print("====================================================================\n")
try:
self.got_contract.wait(timeout=WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not self.got_contract.is_set():
print('Failed to get contract within %d seconds' % WAIT_TIME)
def request_hist_data(self, contract):
today = datetime.today()
print("Requesting historical data for %s" % contract.symbol)
# Request some historical data.
self.tws.reqHistoricalData(
2, # tickerId,
contract, # contract,
today.strftime("%Y%m%d %H:%M:%S %Z"), # endDateTime,
"1 W", # durationStr,
"1 day", # barSizeSetting,
"TRADES", # whatToShow,
0, # useRTH,
1 # formatDate
)
print("\n====================================================================")
print(" History requested, waiting %ds for TWS responses" % WAIT_TIME)
print(" History requested, waiting %ds for TWS responses" % WAIT_TIME)
print("====================================================================\n")
try:
self.got_history.wait(timeout=WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not self.got_history.is_set():
print('Failed to get history within %d seconds' % WAIT_TIME)
def subscribe_market_data(self, contract):
pass
def unsubscribe_market_data(self, contract):
pass
def place_order(self, contract):
print('Waiting for valid order id')
order_id = self.order_ids.get(timeout=WAIT_TIME)
if not order_id:
raise RuntimeError('Failed to receive order id after %ds' % WAIT_TIME)
# Order details
algoParams = TagValueList()
algoParams.append(TagValue("componentSize", "3"))
algoParams.append(TagValue("timeBetweenOrders", "60"))
algoParams.append(TagValue("randomizeTime20", "1"))
algoParams.append(TagValue("randomizeSize55", "1"))
algoParams.append(TagValue("giveUp", "1"))
algoParams.append(TagValue("catchUp", "1"))
algoParams.append(TagValue("waitForFill", "1"))
algoParams.append(TagValue("startTime", "20110302-14:30:00 GMT"))
algoParams.append(TagValue("endTime", "20110302-21:00:00 GMT"))
order = Order()
order.action = 'BUY'
order.lmtPrice = 140
order.orderType = 'LMT'
order.totalQuantity = 10
order.algoStrategy = "AD"
order.tif = 'DAT'
order.algoParams = algoParams
# order.transmit = False
print("Placing order for %d %s's (id: %d)" % (order.totalQuantity,
contract.symbol, order_id))
# Place the order
self.tws.placeOrder(
order_id, # orderId,
contract, # contract,
order # order
)
print("\n====================================================================")
print(" Order placed, waiting %ds for TWS responses" % WAIT_TIME)
print("====================================================================\n")
print("Waiting for order to be filled..")
try:
self.order_filled.wait(WAIT_TIME)
except KeyboardInterrupt:
pass
finally:
if not self.order_filled.is_set():
print('Failed to fill order')
class TradeManager(object):
def __init__(self):
self.accountNumber = ''
self.optionExpiry = '20121221' # This needs manual updating!
self.maxAskBidRatio = 1.25
self.maxAskLastPriceRatio = 1.02
self.maxOrderQueueLength = 3
# Create a file for TWS logging
self.twslog_fh = open('/home/mchan/git/Artemis/twslog.txt', 'a', 0)
self.twslog_fh.write("Session Started " +
str(datetime.datetime.now()) + "\n")
self.callback = ArtemisIBWrapperSilent.ArtemisIBWrapper()
self.tws = EPosixClientSocket(self.callback)
self.orderIdCount = 1 # This will be updated automatically
self.requestIdCount = 1
self.invested = False
self.maxLimitPriceFactor = 1.02 # No limit orders above 2% of current ask price
# Connect the socket
self.socketnum = 30
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
# Strategy Generic object, has methods for interpreting consensus out/under performance
self.Strat = strategy.Strategy()
# Queue for orders
self.orderQueue = []
# Setup DB connector
self.db = dbutil.db(h='127.0.0.1', schema='mchan')
# Query Cash Account Balance
self.updateBuyingPowerNextId()
def updateBuyingPowerNextId(self):
self.callback.myNextValidId = None
self.callback.buyingPower = None
self.tws.reqAccountUpdates(1, self.accountNumber)
while (self.callback.buyingPower is None
or self.callback.myNextValidId is None):
pass
self.buyingPower = float(self.callback.buyingPower)
self.orderIdCount = int(self.callback.myNextValidId)
print "Buying Power recognized: ", self.buyingPower, " Next valid id recognized: ", self.orderIdCount
self.tws.reqAccountUpdates(0, self.accountNumber)
def calcInvSize(self):
'''
Calculates proper investment size
'''
# We take the total size of the portfolio, cash plus stock, and we divide by four
# The reasoning is that we want to avoid the day pattern trader restriction
# Dividing our portfolio size by four ensures that we have enough capital
# to trade for the four trading opportunities that will happen until we can
# finally sell our positions
# This also allows for diversification
self.updateBuyingPowerNextId()
portfolioList = self.getPortfolio()
secMarketPositions = 0
for myContract, myPosition, myMarketValue in portfolioList:
secMarketPositions += myMarketValue
totalPortfolioSize = secMarketPositions + self.buyingPower
investmentSize = min(self.buyingPower, (totalPortfolioSize / 4.0))
print "CALCULATE INVESTMENT SIZE: ", str(investmentSize)
return investmentSize
def twsReconnect(self):
print "Reconnecting TWS"
self.twslog_fh.write("Reconnecting TWS" +
str(datetime.datetime.now()) + '\n')
self.tws.eDisconnect()
try:
self.tws.eConnect("", 7496, self.socketnum, poll_interval=1)
except TWSError, e:
print e
print "Attempting to reconnect:"
for i in range(0, 5):
time.sleep(5)
print "Try ", i
try:
self.tws.eConnect("",
7496,
self.socketnum,
poll_interval=1)
break
except TWSError, e:
print e
class IBBroker(Broker):
cid = 0 # connection id
oid = 0 # order id
tid = 0 # tick id (for fetching quotes)
tws = None # Trader WorkStation
wrapper = None # instance of EWrapper
sid_to_tid = {} # map of security id to tick id
def __init__(self, wrapper=None):
Broker.__init__(self)
# initialize a default wrapper
if wrapper:
self.wrapper = wrapper
else:
self.wrapper = WrapperDefault()
# initialize the wrapper's portfolio object
self.wrapper.portfolio = IBPortfolio()
# get next order id
def get_next_oid(self):
IBBroker.oid += 1
return IBBroker.oid
# get next connection id
def get_next_cid(self):
IBBroker.cid += 1
return IBBroker.cid
# get next tick request id (for getting quotes)
def get_next_tid(self):
self.tid += 1
return self.tid
# connect to TWS
def connect(self, port=7496):
if self.is_connected():
self.disconnect()
cid = self.get_next_cid()
self.tws = EPosixClientSocket(self.wrapper)
self.tws.eConnect('', port, cid)
# disconnect from TWS
def disconnect(self):
self.tws.eDisconnect()
# check if TWS is connected
def is_connected(self):
if self.tws is None:
return False
return self.tws.isConnected()
# Convert Zipline order signs into IB action strings
def order_action(self, iSign):
if iSign > 0:
return 'BUY'
elif iSign < 0:
return 'SELL'
raise Exception('Order of zero shares has no IB side: %i' % iSign)
# get an IB contract by ticker
def get_contract_by_sid(self, sid):
contract = Contract()
contract.symbol = sid
contract.secType = 'STK'
contract.exchange = 'SMART'
contract.currency = 'USD'
return contract
# get a default IB market order
def get_market_order(self, sid, amt):
order = Order()
order.action = self.order_action(amt)
order.totalQuantity = abs(amt)
order.orderType = 'MKT'
order.tif = 'DAY'
order.outsideRth = False
return order
# get a default IB limit order
def get_limit_order(self, sid, amt, lmtPrice):
order = Order()
order.action = self.order_action(amt)
order.totalQuantity = abs(amt)
order.orderType = 'LMT'
order.tif = 'DAY'
order.outsideRth = False
order.lmtPrice = lmtPrice
return order
# send the IB (contract, order) order to TWS
def place_order(self, contract, order):
oid = self.get_next_oid()
self.tws.placeOrder(oid, contract, order)
return oid
# send order with Zipline style order arguments
# <TODO> stop_price is not implemented
def order(self, sid, amt, limit_price=None, stop_price=None):
contract = self.get_contract_by_sid(sid)
amt = int(amt)
if limit_price is None:
order = self.get_market_order(sid, amt)
else:
order = self.get_limit_order(sid, amt, limit_price)
return self.place_order(contract, order)
# subscribe to market data ticks
def subscribe(self, sid):
tid = self.get_next_tid()
self.sid_to_tid[sid] = tid
contract = self.get_contract_by_sid(sid)
self.tws.reqMktData(tid, contract, '', False)
return tid
# subscribe to market data ticks for a list of tickers
def subscribe_list(self, tickers):
for tkr in tickers:
self.subscribe(tkr)
# cancel a market data subscription
def unsubscribe(self, sid):
if sid not in self.sid_to_tid.keys():
return
tid = self.sid_to_tid[sid]
self.tws.cancelMktData(tid)
# cancel all market data subscriptions
def unsubscribe_all(self):
sids = self.sid_to_tid.keys()
for sid in sids:
self.unsubscribe(sid)
# fetch a quote by ticker id tid
def get_quote_by_tid(self, tid):
return self.wrapper.tid_to_price[tid]
# fetch a quote by ticker sid
def get_quote(self, sid):
if sid not in self.sid_to_tid:
self.subscribe(sid)
return (None, None)
tid = self.sid_to_tid[sid]
if tid not in self.wrapper.tid_to_price:
price = None
else:
price = self.wrapper.tid_to_price[tid]
if tid not in self.wrapper.tid_to_size:
size = None
else:
size = self.wrapper.tid_to_size[tid]
return (price, size)
# fetch a price by ticker sid
def get_price(self, sid):
if sid not in self.sid_to_tid:
self.subscribe(sid)
return None
tid = self.sid_to_tid[sid]
if tid not in self.wrapper.tid_to_price:
return None
else:
price_dict = self.wrapper.tid_to_price[tid]
if 'price' in price_dict:
return price_dict['price']
return None
# get a Pandas DataFrame of current positions
def get_positions_frame(self):
ib_dict = {}
for sid, position in self.wrapper.portfolio.sid_to_position.iteritems(
):
# <TODO> don't use vars here
#ib_dict[sid] = vars(position)
ib_dict[sid] = {
'marketValue': position.marketValue,
'realizedPNL': position.realizedPNL,
'marketPrice': position.marketPrice,
'unrealizedPNL': position.unrealizedPNL,
'accountName': position.accountName,
'averageCost': position.averageCost,
'sid': position.sid,
'position': position.position
}
return pd.DataFrame.from_dict(ib_dict, orient='index')
